Walter's DConf 2014 Talks - Topics in Finance

[Daniel Davidson]

On Saturday, 22 March 2014 at 14:33:02 UTC, TJB wrote:
> Well, I for one, would be hugely interested in such a thing.  A
> nice D API to HDF5 would be a dream for my data problems.
>
> Did you use HDF5 in your finance industry days then?  Just
> curious.
>

A bit. You can check out some of my C++ code generation support 
for hdf5 here: 
https://github.com/patefacio/codegen/tree/master/cpp/fcs/h5

A description of the code generation infrastructure is available 
here:
https://github.com/patefacio/codegen/blob/master/doc/codegen.pdf

And some python usage of tables to parse/store data for HFT 
analysis of potential benefits of periodic auctions as opposed to 
continuous markets:
https://github.com/patefacio/auction

Using hdf5 with tables and simple usage in C++ is very powerful. 
I did not do a lot with it - simple tables for writing/reading 
from C++. The API is huge and very old school, even with the C++ 
wrappers. IMHO an awesome project would be a rewrite in D that 
abandoned the API but provided file compatibility with cleaner 
access. D would be great for that.

> TJB